Related papers: Stochastic transport equations with unbounded dive…

We establish that solving an optimal transportation problem in which the source and target densities are defined on manifolds with different dimensions, is equivalent to solving a new nonlocal analog of the Monge-Amp\`ere equation,…

We consider stochastic variational inequality problems where the mapping is monotone over a compact convex set. We present two robust variants of stochastic extragradient algorithms for solving such problems. Of these, the first scheme…

In this work we consider solutions to stochastic partial differential equations with transport noise, which are known to converge, in a suitable scaling limit, to solution of the corresponding deterministic PDE with an additional viscosity…

We consider variational inequality solutions with prescribed gradient constraints for first order linear boundary value problems. For operators with coefficients only in $L^2$, we show the existence and uniqueness of the solution by using a…

In this paper, we study the convergence for solutions to a sequence of (possibly degenerate) stochastic differential equations with jumps, when the coefficients converge in some appropriate sense. Our main tools are the superposition…

We consider in a smooth and bounded two dimensional domain the convergence in the $L^2$ norm, uniformly in time, of the solution of the stochastic second-grade fluid equations with transport noise and no-slip boundary conditions to the…

Motivated by applications in model-free finance and quantitative risk management, we consider Fr\'echet classes of multivariate distribution functions where additional information on the joint distribution is assumed, while uncertainty in…

In this paper, we are interested in the following singular stochastic differential equation (SDE) $${\rm d} X_t = b(t,X_t) {\rm d} t + {\rm d} B_{t},\ 0\leq t\leq T,\ X_0 = x \in \mathbb{R}^d,$$ where the drift coefficient $b:[0,T]\times…

In this paper we consider the stochastic primitive equation for geophysical flows subject to transport noise and turbulent pressure. Admitting very rough noise terms, the global existence and uniqueness of solutions to this stochastic…

We consider a stochastic functional differential equation with an arbitrary Lipschitz diffusion coefficient depending on the past. The drift part contains a term with superlinear growth and satisfying a dissipativity condition. We prove…

We survey and refine recent results on weak and strong well-posedness of stochastic differential equations with singular drift satisfying some minimal assumptions.

We consider singularly perturbed convection-diffusion equations on one-dimensional networks (metric graphs) as well as the transport problems arising in the vanishing diffusion limit. Suitable coupling condition at inner vertices are…

In this paper we develop a new approach to stochastic evolution equations with an unbounded drift $A$ which is dependent on time and the underlying probability space in an adapted way. It is well-known that the semigroup approach to…

We study a class of second order variational inequalities with bilateral constraints. Under certain conditions we show the existence of a unique viscosity solution of these variational inequalities and give a stochastic representation to…

This paper revisits a homogenization problem studied by L. Tartar related to a tridimensional Stokes equation perturbed by a drift (connected to the Coriolis force). Here, a scalar equation and a two-dimensional Stokes equation with a…

We consider stochastic evolution equations in Hilbert spaces with merely measurable and locally bounded drift term $B$ and cylindrical Wiener noise. We prove pathwise (hence strong) uniqueness in the class of global solutions. This paper…

We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we derive a complete characterisation of the solution to this…

We demonstrate the existence in the sense of sequences of solutions for some integro-differential type problems involving the drift term and the square of the Laplace operator, on the whole real line or on a finite interval with periodic…

The concept of impedance, which characterises the current response to a periodical driving, is introduced in the context of stochastic transport. In particular, we calculate the impedance for an exactly solvable model, namely the stochastic…

We study the stochastic transport equation with globally $\beta$-H\"older continuous and bounded vector field driven by a non-degenerate pure-jump L\'evy noise of $\alpha$-stable type. Whereas the deterministic transport equation may lack…